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题名Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: Averaging principle
作者
发表日期2022-06-15
发表期刊Journal of Mathematical Analysis and Applications
ISSN/eISSN0022-247X
卷号510期号:2
摘要

The main goal of this article is to study an averaging principle for a class of two-time-scale stochastic differential delay equations in which the slow-varying process includes a multiplicative fractional Brownian noise with Hurst parameter [Formula presented] and the fast-varying process is a rapidly-changing diffusion. We would like to emphasize that the approach proposed in this paper is based on the fact that a stochastic integral with respect to fractional Brownian motion with Hurst parameter in [Formula presented] can be defined as a generalized Stieltjes integral. In particular, to prove a limit theorem for the averaging principle, we will introduce a sequence of stopping times to control the size of multiplicative fractional Brownian noise. Then, inspired by the Khasminskii's approach, an averaging principle is developed in the sense of convergence in the p-th moment uniformly in time.

关键词Averaging principle Multiplicative fractional Brownian noise Stochastic differential delay equations Two-time-scale
DOI10.1016/j.jmaa.2022.126004
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收录类别SCIE
语种英语English
WOS研究方向Mathematics
WOS类目Mathematics, Applied ; Mathematics
WOS记录号WOS:000821504900003
Scopus入藏号2-s2.0-85123630859
引用统计
被引频次:7[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符https://repository.uic.edu.cn/handle/39GCC9TT/10477
专题个人在本单位外知识产出
通讯作者Pei, Bin
作者单位
1.School of Mathematics and Statistics,Northwestern Polytechnical University,Xi'an,710072,China
2.Research & Development Institute of Northwestern Polytechnical University in Shenzhen,Shenzhen,518057,China
3.Department of Mathematics,Swansea University,Swansea,SA1 8EN,United Kingdom
推荐引用方式
GB/T 7714
Han, Min,Xu, Yong,Pei, Binet al. Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: Averaging principle[J]. Journal of Mathematical Analysis and Applications, 2022, 510(2).
APA Han, Min, Xu, Yong, Pei, Bin, & Wu, Jianglun. (2022). Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: Averaging principle. Journal of Mathematical Analysis and Applications, 510(2).
MLA Han, Min,et al."Two-time-scale stochastic differential delay equations driven by multiplicative fractional Brownian noise: Averaging principle". Journal of Mathematical Analysis and Applications 510.2(2022).
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